(After Noah Stein's answer) The following counter-example is due to Hall. The $5\times5$ symmetric matrix
$$S=\begin{pmatrix}  4 & 0 & 0 & 2 & 2 \\\\ 0 & 4 & 3 & 0 & 2 \\\\ 0 & 3 & 4 & 2 & 0 \\\\ 2 & 0 & 2 & 4 & 0 \\\\ 2 & 2 & 0 & 0 & 4 \end{pmatrix}$$
has non-negative entries and is positive semi-definite. Yet, it cannot be written as the sum of $v_j\otimes v_j$ where the vectors $v_j$ are non-negative. By duality, this proves that $C$ is not the convex hull of $S\cup P$.

The example is analyzed in details in Exercise 347 of my [list][1].


  [1]: http://www.umpa.ens-lyon.fr/~serre/DPF/exobis.pdf